Extended Stock Returns in Response to S&P 500 Index Changes

University of California, Los Angeles (UCLA); National Bureau of Economic Research (NBER)

Date Written: October 3, 2016

Abstract

Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature’s depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. It suggests that stocks no longer experience permanent shifts in investor demand when they are added to or removed from the S&P 500.

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